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Counterexample where X is not in the Lebesgue linear space.

  • #1
Example where X is not in the Lebesgue linear space.

Homework Statement



I'm trying to find an example where [itex] \lim_{n \to +\infty} P(|X|>n) = 0 [/itex] but [itex]X \notin L[/itex] where [itex]L[/itex] is the Lebesgue linear space.

Relevant equations:

[itex]X[/itex] is a random variabel, [itex]P[/itex] is probability. [itex]I[/itex] is indicator function.

The attempt at a solution

[itex]∫|X|I(|X|>n)dp + ∫|X|I(|X|≤n)dp = ∫|X|dp [/itex]

[itex]∫nI(|X|>n)dp + ∫|X|I(|X|)dp ≤ ∫|X|dp[/itex]

Suppose [itex]∫I(|X|>n)dp = 1/(n ln n) [/itex]
Clearly the hypothesis is satisfied because [itex] \lim_{n \to +\infty} P(|X|>n) = \lim_{n \to +\infty} ∫I(|X|>n)dp = \lim_{n \to +\infty} 1/( ln n) = 0[/itex]
But I'm not sure how to conclude [itex]∫|X|dp = ∞[/itex]
 
Last edited:

Answers and Replies

  • #2
This is due tomorrow. Please help!
 
  • #3
Does geometric random variable work?
 

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